Prices or implied volatilities? Choosing the loss function in machine learning option pricing
The paper compares machine learning option pricing trained on pricing errors versus implied-volatility errors using 8.67 million S&P 500 index-option observations from 1997 through 2025.
Featured in No. 132 on 25 Sep 2026 · 3 days after release
- Released
- 22 Sep 2026
- First featured
- No. 132 · 25 Sep 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 3 of 5
- Identifier
- SSRN 7498639
- Authors
- Panayiotis C. Andreou et al.
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).